On the Joint Distribution of the Future Infimum and Its Location for a Transient Bessel Process
Received:July 21, 1998  
Key Words: transient Bessel process   future infimum   location of the future infimum   joint distribution  
Fund Project:Supported by National Natural Science Foundation of China (19801020)
Author NameAffiliation
SHAO Xian-xi Dept. of International Business and Economics
Qingdao University
Shandong
China 
YIN Chuan-cun Dept. of Math.
Qufu Normal University
China 
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Abstract:
      For a transient Bessel process X let I(t) = in fs≥tX(s) andξ(t) = inf{u≥ 2 t: X(u) = I(t)}. In this note we compute the joint distribution of I(t),ξ(t) and Xt.
Citation:
DOI:10.3770/j.issn:1000-341X.2001.03.006
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